- Full text PDF available (17)
- This year (0)
- Last 5 years (4)
- Last 10 years (12)
Journals and Conferences
We develop a white noise calculus for pure jump Lévy processes on the Poisson space. This theory covers the treatment of Lévy processes of unbounded variation. The starting point of the theory is the… (More)
In this paper we prove a central limit theorem for Borel measurable nonseparably valued random elements in the case of Banach space valued fuzzy random variables.
Recommended by Yaozhong Hu We consider the problem of risk indifference pricing on an incomplete market, namely on a jump diffusion market where the controller has limited access to market… (More)
dXt = b(t,Xt) dt + dBt, s, t ∈ R, Xs = x ∈ R. The above SDE is driven by a bounded measurable drift coefficient b : R × Rd → Rd and a d-dimensional Brownian motion B. More specifically, we show that… (More)
We investigate the average power scaling of two diode-pumped Yb-doped fiber amplifiers emitting a diffraction-limited beam. The first fiber under investigation with a core diameter of 30 µm was able… (More)
Bond duration in its basic deterministic form is a concept well understood. Its meaning in the context of a yield curve on a stochastic path is less well developed. We extend the basic idea to a… (More)
In this article we prove a strong law of large numbers for Borel measurable nonseparably valued random elements in the case of generalized random sets.
We prove an existence and uniqueness result for a general class of backward stochastic partial differential equations with jumps. This is a type of equations which appear as adjoint equations in the… (More)
In this paper we explicitly solve a non-linear filtering problem with mixed observations, modelled by a Brownian motion and a generalized Cox process, whose jump intensity is given in terms of a Lévy… (More)
In this paper we demonstrate how concepts of white noise analysis can be used to give an explicit solution to a stochastic transport equation driven by Lévy white noise.